TY - JOUR
T1 - Fractional differencing modeling and forecasting of eurocurrency deposit rates
AU - Barkoulas, John T.
AU - Baum, Christopher F.
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PY - 1997/9
Y1 - 1997/9
N2 - Using the spectral regression method, we test for long-term stochastic memory in three- and six-month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long-term dependence is found in several Eurocurrency returns series. Compared with benchmark linear models, the estimated fractional models result in dramatic out-of-sample forecasting improvements over longer horizons for the Eurocurrency deposits denominated in German marks, Swiss francs, and Japanese yen.
AB - Using the spectral regression method, we test for long-term stochastic memory in three- and six-month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long-term dependence is found in several Eurocurrency returns series. Compared with benchmark linear models, the estimated fractional models result in dramatic out-of-sample forecasting improvements over longer horizons for the Eurocurrency deposits denominated in German marks, Swiss francs, and Japanese yen.
UR - https://www.scopus.com/pages/publications/0000253391
U2 - 10.1111/j.1475-6803.1997.tb00254.x
DO - 10.1111/j.1475-6803.1997.tb00254.x
M3 - Article
SN - 0270-2592
VL - 20
SP - 355
EP - 372
JO - Journal of Financial Research
JF - Journal of Financial Research
IS - 3
ER -